3. Azure VM with Shared Folder (SMB)

Set the FSLogix Registry value VHDLocations to the UNC path of the VM File Share

Decent performance (iops depend on VM size) but adds a single point of failure in the VM (unless you use Storage Spaces Direct S2D) which adds a lot of cost and complexity. Expensive.

4. Azure File Share (SMB) - User Auth

This is similar to option 1, except using Azure Active Directory Domain Services to authenticate the users access to the File Share

The VMs need to be joined to the Azure ADDS

Set the FSLogix Registry value AccessNetworkAsComputerObject to 0

Set the FSLogix Registry value VHDLocations to the UNC path of the Azure File Share

Implementing and joining the WVD VMs to a different domain (Azure ADDS) is not something that would fit well in most environments. Having another domain to manage policies in - urgh!

Conclusion

There are many other ways to host FSLogix profiles of course. Without additional licensing, and with just an Azure subscription, all the above options are available by default and I found that the Azure File Share (SMB) - Computer Auth option was the most suitable due to simplicity, cost and performance.